131 lines
4.7 KiB
JavaScript
131 lines
4.7 KiB
JavaScript
const fs = require('fs');
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const path = require('path');
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const vm = require('vm');
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function createNumberFormat(precision) {
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const formatter = (value) => Number(Number(value || 0).toFixed(precision));
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formatter.precision = precision;
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return formatter;
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}
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function loadUnwindHelpers() {
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const filePath = path.join(__dirname, '../wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js');
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const code = fs.readFileSync(filePath, 'utf8') + '\nmodule.exports = { swapPosiFeeCalc, consPosiFeeType };';
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const stockEqvNotional = createNumberFormat(2);
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const sandbox = {
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module: { exports: {} },
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exports: {},
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console,
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require,
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window: { otcformat: { options: {} } },
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otcformat: {
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options: {},
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trading: {
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premiumRateP: { precision: 4 },
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tradePrice: { precision: 4 },
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notional: { precision: 6 },
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StockEqvNotional: stockEqvNotional,
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marginRateP: { precision: 4 },
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umpriceP: { precision: 4 }
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},
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fixed6: createNumberFormat(6)
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},
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model: {
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ValueDate: '2026-07-27',
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FlowEvents: [],
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StructureType: '',
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TradeStartDate: ''
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},
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isUseApproval: false,
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Vue: function (options) { return options; },
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FastVue: {
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vueDatePicker() { return {}; },
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vueNumberInput() { return {}; }
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},
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tradeHelper: { IsBond() { return false; } },
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main: {
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post() {
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return {
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done() { return this; }
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};
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},
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message() { }
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},
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SwapCalc: {
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roundHalfAwayFromZero(value) { return value; },
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calcCloseQtyByOriginalPercent() { return 0; }
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},
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_: {
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round(value, precision) {
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return Number(Number(value || 0).toFixed(precision || 0));
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}
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}
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};
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sandbox.window.otcformat = sandbox.otcformat;
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vm.runInNewContext(code, sandbox, { filename: filePath });
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return sandbox.module.exports;
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}
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function expectClose(actual, expected, tolerance) {
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expect(Math.abs(actual - expected)).toBeLessThanOrEqual(tolerance || 1e-6);
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}
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describe('unwindSwapTrade 基础费率计算', () => {
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const { swapPosiFeeCalc, consPosiFeeType } = loadUnwindHelpers();
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test('百分比模式按平仓名义本金计算并保留两位', () => {
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const result = swapPosiFeeCalc.calcTradingFee(consPosiFeeType.Percent, 0.1234, 1000000, 5000);
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expectClose(result, 1234.00);
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});
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test('单位数量模式按平仓数量计算并保留两位', () => {
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const result = swapPosiFeeCalc.calcTradingFee(consPosiFeeType.Unit, 1.235, 1000000, 10);
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expectClose(result, 12.35);
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});
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test('未知模式默认按百分比模式处理', () => {
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const result = swapPosiFeeCalc.calcTradingFee(99, 0.1, 200000, 10);
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expectClose(result, 200.00);
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});
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});
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describe('base-rate pending trading fee', () => {
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const { swapPosiFeeCalc, consPosiFeeType } = loadUnwindHelpers();
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test('unit rate follows actual close quantity instead of an inconsistent close percent', () => {
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const result = swapPosiFeeCalc.calcTradingFeePending(
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2000, consPosiFeeType.Unit, 0.2, 4200, 3000, 10000, 10000, 0.42);
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expectClose(result, 600.00);
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});
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test('percentage rate follows actual close notional value', () => {
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const result = swapPosiFeeCalc.calcTradingFeePending(
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2000, consPosiFeeType.Percent, 0.2, 300000, 4200, 1000000, 10000, 0.42);
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expectClose(result, 600.00);
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});
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test('a manually adjusted original pending fee is allocated by actual close quantity', () => {
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const result = swapPosiFeeCalc.calcTradingFeePending(
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1500, consPosiFeeType.Unit, 0.2, 4200, 3000, 10000, 10000, 0.42);
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expectClose(result, 450.00);
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});
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test('partial close fee and pending fee both use the rounded opening fee allocation', () => {
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const tradingFee = swapPosiFeeCalc.calcAllocatedTradingFee(
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113.46, consPosiFeeType.Percent, 1.1234, 4039.2, 4000, 10098, 10000);
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const pendingFee = swapPosiFeeCalc.calcTradingFeePending(
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113.46, consPosiFeeType.Percent, 1.1234, 4039.2, 4000, 10098, 10000, 0.4);
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expectClose(tradingFee, 45.38);
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expectClose(pendingFee, 45.38);
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});
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test('without a configured base rate, the legacy close-percent calculation remains', () => {
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const result = swapPosiFeeCalc.calcTradingFeePending(
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2000, consPosiFeeType.Percent, 0, 300000, 3000, 1000000, 10000, 0.42);
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expectClose(result, 840.00);
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});
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});
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